Merge pull request #36 from SaguaroCapital/tyler-rework-impute

simplify impute

Project.toml

@@ -1,7 +1,7 @@
 name = "SaguaroTrader"
 uuid = "26277856-a3f7-4646-aaac-f090473ab108"
 authors = ["Tyler Thomas <[email protected]>", "Benjamin Ciccarelli <[email protected]>"]
-version = "0.4"
+version = "0.4.0"
 
 [deps]
 CSV = "336ed68f-0bac-5ca0-87d4-7b16caf5d00b"
@@ -12,21 +12,24 @@ PrecompileTools = "aea7be01-6a6a-4083-8856-8a6e6704d82a"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 UUIDs = "cf7118a7-6976-5b1a-9a39-7adc72f591a4"
 
+[weakdeps]
+MarketData = "945b72a4-3b13-509d-9b46-1525bb5c06de"
+
+[extensions]
+MarketDataExt = "MarketData"
+
 [compat]
 Aqua = "0.8"
 CSV = "0.10"
 DataFrames = "1"
 DataStructures = "0.18"
+Dates = "1.6"
 MarketData = "0.13"
 PrecompileTools = "1"
-julia = "1.6"
-Dates = "1.6"
 Random = "1.6"
-UUIDs = "1.6"
 Test = "1.6"
-
-[extensions]
-MarketDataExt = "MarketData"
+UUIDs = "1.6"
+julia = "1.6"
 
 [extras]
 Aqua = "4c88cf16-eb10-579e-8560-4a9242c79595"
@@ -35,6 +38,3 @@ Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [targets]
 test = ["Aqua", "MarketData", "Test"]
-
-[weakdeps]
-MarketData = "945b72a4-3b13-509d-9b46-1525bb5c06de"

docs/make.jl

@@ -14,7 +14,7 @@ makedocs(;
         assets=String[],
     ),
     pages=["Home" => "index.md", "API" => "api.md", "Examples" => "examples.md"],
-    warnonly = true
+    warnonly=true,
 )
 
 deploydocs(; repo="github.com/SaguaroCapital/SaguaroTrader.jl.git")

examples/buy_and_hold/buy_and_hold.jl

@@ -12,7 +12,12 @@ end_dt = DateTime(2023, 5, 1)
 initial_cash = 100_000.0
 
 # Download market data for GLD
-download_market_data([:GLD, :SPY]; start_dt=DateTime(2006, 12, 26), end_dt=DateTime(2023, 4, 27), check_exists=true)
+download_market_data(
+    [:GLD, :SPY];
+    start_dt=DateTime(2006, 12, 26),
+    end_dt=DateTime(2023, 4, 27),
+    check_exists=true,
+)
 
 #####################################################
 # Prepare broker
@@ -63,7 +68,9 @@ run!(strategy_trading_session)
 
 # Download market data for SPY
 
-download_market_data(:SPY; start_dt=DateTime(2006, 12, 26), end_dt=DateTime(2023, 4, 27), check_exists=true)
+download_market_data(
+    :SPY; start_dt=DateTime(2006, 12, 26), end_dt=DateTime(2023, 4, 27), check_exists=true
+)
 
 data_source = CSVDailyBarSource("./temp/"; csv_symbols=[Symbol(:SPY)])
 

examples/sixty_forty_fees/sixty_forty_fees.jl

@@ -25,11 +25,13 @@ data_handler = BacktestDataHandler([data_source])
 port_optimizer = FixedWeightPortfolioOptimizer(data_handler)
 
 # create percent fee model to be used in simulated broker
-fee_model = PercentFeeModel(fee_pct=0.1/100, tax_pct=0.5/100)
+fee_model = PercentFeeModel(; fee_pct=0.1 / 100, tax_pct=0.5 / 100)
 
 # create exchange, broker
 exchange = SimulatedExchange(start_dt)
-broker = SimulatedBroker(start_dt, exchange, data_handler; initial_cash=initial_cash, fee_model=fee_model)
+broker = SimulatedBroker(
+    start_dt, exchange, data_handler; initial_cash=initial_cash, fee_model=fee_model
+)
 
 #####################################################
 # 60% SPY, 40% AAG (bonds)
@@ -65,7 +67,6 @@ run!(strategy_trading_session)
 # SPY Benchmark
 ######################################################
 
-
 # create exchange, broker. use default zero fee model
 exchange = SimulatedExchange(start_dt)
 broker = SimulatedBroker(start_dt, exchange, data_handler; initial_cash=initial_cash)
@@ -80,7 +81,6 @@ alpha_model = FixedSignalsAlphaModel(signal_weights)
 order_sizer = DollarWeightedOrderSizer(0.001)
 rebalance = BuyAndHoldRebalance(Date(start_dt))
 
-
 # Run SPY backtest
 benchmark_trading_session = BacktestTradingSession(
     start_dt,

ext/MarketDataExt.jl

@@ -25,7 +25,7 @@ function SaguaroTrader.download_market_data(
     if !isdir(data_dir)
         mkdir(data_dir)
     end
-    
+
     df = DataFrame(yahoo(security, YahooOpt(; period1=start_dt, period2=end_dt)))
     CSV.write(joinpath(data_dir, "$security.csv"), df)
     return nothing

src/alpha_model/single_signal.jl

@@ -8,7 +8,7 @@ Fields
 - `signal::Float64`
 """
 struct SingleSignalAlphaModel <: AlphaModel
-    universe
+    universe::Any
     signal::Float64
 end
 

src/asset/universe.jl

@@ -12,7 +12,7 @@ Parameters
 - `assets`
 """
 struct StaticUniverse <: Universe
-    assets
+    assets::Any
 end
 
 """

src/backtest_trading_session/backtest_trading_session.jl

@@ -17,9 +17,9 @@ Fields
 struct BacktestTradingSession
     start_dt::DateTime
     end_dt::DateTime
-    pcm
-    exec_handler
-    rebalance
+    pcm::Any
+    exec_handler::Any
+    rebalance::Any
     start_tracking_dt::DateTime
     equity_curve::DataFrame
     function BacktestTradingSession(

src/backtest_trading_session/qts.jl

@@ -3,11 +3,11 @@
 
 """
 struct QuantTradingSystem
-    universe
-    broker
+    universe::Any
+    broker::Any
     portfolio_id::String
-    alpha_model
-    order_sizer
+    alpha_model::Any
+    order_sizer::Any
     # risk_model #TODO: Implement
     long_only::Bool
     submit_orders::Bool

src/broker/simulated_broker.jl

@@ -19,13 +19,13 @@ Fields
 mutable struct SimulatedBroker <: Broker
     start_dt::DateTime
     current_dt::DateTime
-    exchange
+    exchange::Any
     data_handler::DataHandler
     account_id::String
     base_currency::String
     initial_cash::Float64
-    fee_model
-    slippage_model
+    fee_model::Any
+    slippage_model::Any
     # market_impact_model::AbstractMarketImpactModel # TODO: Implement
     cash_balances::Dict{String,Float64}
     portfolios::Dict{String,Portfolio}
@@ -108,10 +108,7 @@ function get_account_total_equity(broker)
 end
 
 function create_portfolio!(
-    broker,
-    initial_cash::Real;
-    name::String="",
-    portfolio_id::String=string(UUIDs.uuid1()),
+    broker, initial_cash::Real; name::String="", portfolio_id::String=string(UUIDs.uuid1())
 )
     error_msg = "Not enough cash in the broker $(broker.cash_balances[broker.base_currency])"
     @assert initial_cash <= broker.cash_balances[broker.base_currency] error_msg

src/data/daily_bar_csv.jl

@@ -81,9 +81,15 @@ function _detect_adj_column(columns::AbstractVector{String}, identifier::String)
     return error("Unable to detect '$identifier' column in columns: $columns")
 end
 
-_detect_adj_column(columns::AbstractVector{Symbol}, identifier::String) = _detect_adj_column(string.(columns), identifier)
-_detect_adj_column(columns::AbstractVector{String}, identifier::Symbol) = _detect_adj_column(columns, string(identifier))
-_detect_adj_column(columns::AbstractVector{Symbol}, identifier::Symbol) = _detect_adj_column(string.(columns), string(identifier))
+function _detect_adj_column(columns::AbstractVector{Symbol}, identifier::String)
+    return _detect_adj_column(string.(columns), identifier)
+end
+function _detect_adj_column(columns::AbstractVector{String}, identifier::Symbol)
+    return _detect_adj_column(columns, string(identifier))
+end
+function _detect_adj_column(columns::AbstractVector{Symbol}, identifier::Symbol)
+    return _detect_adj_column(string.(columns), string(identifier))
+end
 
 """
 Estimate Bid-Ask spreads from OHLCV data
@@ -154,7 +160,7 @@ function _convert_bar_frame_into_df_bid_ask(
     if any(ismissing.(df_bid.Ask))
         df_bid = transform(
             df_bid,
-            "Ask" .=> x -> impute(x, LOCF(; limit=nothing); dims=:cols);
+            "Ask" .=> x -> impute!(x, LOCF(; limit=nothing); dims=:cols);
             renamecols=false,
         )
     end
@@ -295,7 +301,10 @@ function _get_timestamp_end(end_dt::DateTime, v::AbstractVector{DateTime})::keyt
 end
 
 function get_assets_historical_bids(
-    ds::CSVDailyBarSource, start_dt::DateTime, end_dt::DateTime, assets::AbstractVector{Symbol}
+    ds::CSVDailyBarSource,
+    start_dt::DateTime,
+    end_dt::DateTime,
+    assets::AbstractVector{Symbol},
 )
     # TODO: do we want historical close like qstrader uses?
     prices_df = DataFrame(; timestamp=Vector{DateTime}())

src/data/data_handler.jl

@@ -7,7 +7,7 @@ Fields
 - `data_sources
 """
 struct BacktestDataHandler <: DataHandler
-    data_sources
+    data_sources::Any
     function BacktestDataHandler(data_sources)
         _verify_unique_assets(data_sources)
         return new(data_sources)